Risk budgets converting mean-variance optimization into VaR assignments

Journal of Portfolio Management

Volumn 27, Issue 2, 2001, Pages 56-60

  Chow, George ^a   Kritzman, Mark ^a  

^a Windham Capital Management LLC   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0035649267     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.2001.319792     Document Type: Article

References (1)

1. Jorion, Philippe. Value at Risk: The New Benchmark for Controlling Market Risk. New York: McGraw-Hill, 1997.